EconPapers    
Economics at your fingertips  
 

The intra-day impact of communication on euro-dollar volatility and jumps

Hans Dewachter, Deniz Erdemlioglu, Jean-Yves Gnabo and Christelle Lecourt

Working Papers of Department of Economics, Leuven from KU Leuven, Faculty of Economics and Business (FEB), Department of Economics, Leuven

Abstract: In this paper, we examine the intra-day effects of verbal statements and comments on the FX market uncertainty using two measures: continuous volatility and discontinuous jumps. Focusing on the euro-dollar exchange rate, we provide empirical evidence of how these two sources of uncertainty matter in measuring the short-term reaction of exchange rates to communication events. Talks significantly trigger large jumps or extreme events for approximately an hour after the news release. Continuous volatility starts reacting prior to the news, intensifies around the release time and stays at high levels for several hours. Our results suggest that monetary authorities generally tend to communicate with markets on days when uncertainty is relatively severe, and higher than normal. Disentangling the US and Euro area statements, we also find that abnormal levels of volatility are mostly driven by the communication of the Euro area officials rather than US authorities.

Date: 2013-03
New Economics Papers: this item is included in nep-mon and nep-mst
References: Add references at CitEc
Citations:

Downloads: (external link)
https://lirias.kuleuven.be/bitstream/123456789/410258/1/DPS1304.pdf

Related works:
Journal Article: The intra-day impact of communication on euro-dollar volatility and jumps (2014) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ete:ceswps:ces13.04

Access Statistics for this paper

More papers in Working Papers of Department of Economics, Leuven from KU Leuven, Faculty of Economics and Business (FEB), Department of Economics, Leuven
Bibliographic data for series maintained by library EBIB ().

 
Page updated 2024-05-23
Handle: RePEc:ete:ceswps:ces13.04